Abstract
| Original language | English |
|---|---|
| Title of host publication | Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands |
| Editors | R.H. Bisseling, K. Dajani, T.J. Dijkema, J. Leur, van de, P.A. Zegeling |
| Place of Publication | Utrecht |
| Publisher | Utrecht University |
| Pages | 101-105 |
| Publication status | Published - 2007 |
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A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. / Hout, in 't, K.; Bierkens, J.; Ploeg, van der, A.P.C.; Panhuis, in 't, J.C.H.W.
Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. ed. / R.H. Bisseling; K. Dajani; T.J. Dijkema; J. Leur, van de; P.A. Zegeling. Utrecht : Utrecht University, 2007. p. 101-105.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review
TY - GEN
T1 - A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model
AU - Hout, in 't, K.
AU - Bierkens, J.
AU - Ploeg, van der, A.P.C.
AU - Panhuis, in 't, J.C.H.W.
PY - 2007
Y1 - 2007
N2 - Without abstract.
AB - Without abstract.
M3 - Conference contribution
SP - 101
EP - 105
BT - Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands
A2 - Bisseling, R.H.
A2 - Dajani, K.
A2 - Dijkema, T.J.
A2 - Leur, van de, J.
A2 - Zegeling, P.A.
PB - Utrecht University
CY - Utrecht
ER -